Linear filtering with fractional brownian motion

Authors: M. L. Kleptsyna ^a; P. E. Kloeden ^b; V. V. Anh ^c

Affiliations:	^a Institute of Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia
	^b Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany
	^c School of Mathematics, Queensland University of Technology, Brisbane, Australia

DOI: 10.1080/07362999808809569

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 16, Issue 5 1998 , pages 907 - 914

Subjects: Statistics & Probability; Stochastic Models & Processes;

Formats available: PDF (English)

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Abstract

A Kalman type system of integral equations is obtained for the linear filtering problem in which the noise generating the signal is a fractional Brownian motion with long-range dependence. The error in applying the usual Kalman filter to this problem is determined explicitly for a simple example

Keywords: Linear Filtering Problem; Fractional Brownian Motion; Long-Range Dependence; Optimal Mean-Square Filter

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Linear filtering with fractional brownian motion

Abstract